On time series with randomized unit root and randomized seasonal unit root

DOI10.1016/S0167-9473(02)00298-0MaRDI QIDQ951936zbMATH OpenOpenAlexFDO

Authors Pak Wing Fong, Wai Keung Li

Publication date 4 November 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-9473(02)00298-0

zbMATH Keywords

Brownian motionMarkov chain Monte Carlorandomized seasonal unit rootrandomized unit rootscore-based test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

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Cited in

(3)

• Testing for a unit root under errors with just barely infinite variance
• Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing
• Sequential Estimation and Control of Time-Varying Unit Root Processes with an Application to S&P Stock Price

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